Please use this identifier to cite or link to this item: https://doi.org/10.1109/IEEM.2007.4419314
Title: Currency arbitrage detection using a binary integer programming model
Authors: Soon, W.
Ye, H.-Q. 
Keywords: Binary integer programming
Currency arbitrage detection
Network simplex method
Issue Date: 2007
Source: Soon, W., Ye, H.-Q. (2007). Currency arbitrage detection using a binary integer programming model. IEEM 2007: 2007 IEEE International Conference on Industrial Engineering and Engineering Management : 867-870. ScholarBank@NUS Repository. https://doi.org/10.1109/IEEM.2007.4419314
Abstract: We introduce a binary integer programming model to detect arbitrage opportunities in currency exchanges. A network simplex method has been introduced to solve the model efficiently. Moreover, through sensitivity analysis, the solution to our model can be updated quickly to detect new arbitrage opportunities when the exchange rates change in real-time. © 2007 IEEE.
Source Title: IEEM 2007: 2007 IEEE International Conference on Industrial Engineering and Engineering Management
URI: http://scholarbank.nus.edu.sg/handle/10635/44127
ISBN: 1424415292
DOI: 10.1109/IEEM.2007.4419314
Appears in Collections:Staff Publications

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